Stock market volatility is a matter of great interest for researchers and policy makers. The present study examines the volatility of daily, weekly and monthly stock returns in view of economic growth rate. Most asset pricing models postulate a positive relationship between a stock portfolio's expected returns and risk, which is often modeled by the variance of the asset price. This paper uses GARCH in mean models to examine the relationship between mean returns on a stock portfolio and its conditional variance or standard deviation.

When examining volatility and current returns at the stock level, a negative relation between expected returns and volatility—especially idiosyncratic volatility, has been documented for both U.S. and international markets , . price declines that increase expected returns going forward (to compensate investors for the higher volatility).” 1 That is, volatility often increases after a price decline, which may increase expected returns. A trading strategy buying stocks in the highest implied volatility quintile and shorting stocks in the lowest implied volatility quintile generates insignificant returns. A similar strategy using one-month lagged realized volatility generates significantly negative returns. H0A: Volatility has a positive and statistically significant relationship with expected returns in the BRVM stock market. H1A: Volatility has a positive but statistically insignificant relationship with expected returns in the BRVM stock market. Most asset pricing models postulate a positive relationship between a stock portfolio's expected returns and risk, which is often modeled by the variance of the asset price. This paper uses GARCH in mean models to examine the relationship between mean returns on a stock portfolio and its conditional variance or standard deviation.

In the cross'section of equity option returns, returns on call (put) option portfolios decrease (increase) with underlying stock volatility. This finding is not due to cross 

--Stock market volatility is generally associated with investment risk, however, it may also be used to lock in superior returns. --Volatility is most traditionally measured using the standard deviation, which indicates how tightly the price of a stock is clustered around the mean or moving average. We examine the relation between expected future volatility (options' implied volatility) and the cross-section of expected returns. A trading strategy buying stocks in the highest implied volatility quintile and shorting stocks in the lowest implied volatility quintile generates insignificant returns. Stock market volatility is a matter of great interest for researchers and policy makers. The present study examines the volatility of daily, weekly and monthly stock returns in view of economic growth rate. Most asset pricing models postulate a positive relationship between a stock portfolio's expected returns and risk, which is often modeled by the variance of the asset price. This paper uses GARCH in mean models to examine the relationship between mean returns on a stock portfolio and its conditional variance or standard deviation. In most cases, the higher the volatility, the riskier the security. Volatility is often measured as either the standard deviation or variance between returns from that same security or market index. In the securities markets, volatility is often associated with big swings in either direction. This paper examines the relation between stock returns and stock market volatility. We find evidence that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns. We find evidence that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns. There is also evidence that unexpected stock market returns are negatively related to the unexpected change in the volatility of stock returns.

We find evidence that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns. There is also evidence that unexpected stock market returns are negatively related to the unexpected change in the volatility of stock returns.

Most asset pricing models postulate a positive relationship between a stock portfolio's expected returns and risk, which is often modeled by the variance of the  the cross-sectional variation of stock returns. We also show that the negative correlation between return and total volatility or expected idiosyncratic variance or 

18 Nov 2016 In the cross(section of stock option returns, returns on call (put) option portfolios decrease (increase) with underlying stock volatility. This strong 

12 Sep 2018 The volatility surface is derived using equity or asset option data where Bali and Hovakimian (Volatility Spreads and Expected Stock Returns,  25 Aug 2018 Whether a stock's expected return depends on idiosyncratic volatility has been a central question in the asset pricing literature. Ang et al. (2006) (  a proxy for individual investor sentiment-affects expected stock returns internationally in 18 industrialized countries. 2.1.3 Composite sentiment index. The last  31 Dec 2017 5 expected returns. However, Ang, Hordrick, Xing and Zhang (hereafter AHXZ 2006) document that stocks with high idiosyncratic volatility earn  3 Aug 2018 The “idiosyncratic volatility puzzle”asserts that stocks with low idiosyncratic risk are expected to yield high returns (Ang, Hodrick, Xing,.

Volatility Spreads and Expected Stock Returns. Turan G. Bali, Armen Hovakimian . Department of Economics and Finance, Zicklin School of Business, Baruch 

for the impact the changes in conditional variance have on the expected stock returns. Consistent with findings for emerging financial markets, Ukrainian stock. portant for describing the temporal variation in expected stock returns. We further volatility, the P/E ratio, and the growth rate in industrial production. Similarly  to the stock market at the firm(level. Xing, Zhang and Zhao (2009) find that the slope of the volatility smile has a cross(sectional relation with equity returns. Bali and  return volatility results in an increase in required expected future stock returns and therefore an immediate stock price decline (Pindyck, 1984; French, Schwert,   stock market index, the expected excess stock market return—the difference between the return on the stock market index and a risk-free rate—has to rise.

portant for describing the temporal variation in expected stock returns. We further volatility, the P/E ratio, and the growth rate in industrial production. Similarly  to the stock market at the firm(level. Xing, Zhang and Zhao (2009) find that the slope of the volatility smile has a cross(sectional relation with equity returns. Bali and  return volatility results in an increase in required expected future stock returns and therefore an immediate stock price decline (Pindyck, 1984; French, Schwert,